题目
Consider the following about a European call option with one year maturity and strike price of $100.00 while the stock's volatility is 30.0% per annum and the risk-free rate is 2.0%: When the stock price is $100.00, the option's delta is 0.5860 When the stock price increases by $1.00 to $101.00, the option's delta increases to 0.5990 Which is the BEST estimate of the option's gamma when the stock price is $100?
选项
A.0.0130
B.0.2600
C.52.0
D.104.0
答案
A
解析
The rest of the information is not here necessary.Note this is a linear approximation (i.e., the secant near to the tangent), but it's very close (even as the deltas are themselves rounded) to the exact analytical gamma (at K = 100) of 0.129896此处没有其余信息。请注意，这是线性近似值（即正切线附近的割线），但是它非常接近于精确的解析gamma（在K = 100时）0.129896（即使增量本身是四舍五入的）